I am comparing the efficient frontier of a set of portfolios that are in and out of sample. The first period is from 1991-01-03 until 1992-10-03
and the second one from 1992-10-03 until 1994-03-03. I used historical data from yahoo finance.

I used the empirical covariance matrix from the first period and constructed my in sample efficient frontier. And used the same weights but the parameters from the second period to get the out of sample efficient frontier.